Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1866 |
| Annualized Std Dev | 0.4642 |
| Annualized Sharpe (Rf=0%) | -0.4019 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3414.0000 |
| NAs | 1.0000 |
| Minimum | -0.3744 |
| Quartile 1 | -0.0090 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0004 |
| Geometric Mean | -0.0008 |
| Quartile 3 | 0.0089 |
| Maximum | 0.4394 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0014 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0009 |
| Stdev | 0.0292 |
| Skewness | 0.4138 |
| Kurtosis | 57.6357 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0210 |
| Gain Deviation | 0.0243 |
| Loss Deviation | 0.0258 |
| Downside Deviation (MAR=210%) | 0.0249 |
| Downside Deviation (Rf=0%) | 0.0212 |
| Downside Deviation (0%) | 0.0212 |
| Maximum Drawdown | 0.9801 |
| Historical VaR (95%) | -0.0341 |
| Historical ES (95%) | -0.0679 |
| Modified VaR (95%) | -0.0109 |
| Modified ES (95%) | -0.0109 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-08-28 | 2020-03-18 | NA | -0.9801 | 3415 | 3161 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | 0.8 | 0 | -1.6 | 3.9 | 1.5 | 4.6 |
| 2008 | 1.9 | -1.5 | 3.5 | -1.2 | -1.7 | -0.3 | 2 | 2.1 | 3.9 | 0.4 | -10.7 | 10.6 | 8.1 |
| 2009 | -4.3 | -2.1 | 2.8 | -0.5 | -1.2 | 2.4 | -1 | -2 | -2.9 | 1.5 | 3.1 | 1.3 | -3.3 |
| 2010 | 1.9 | 4.4 | 0.5 | 0.1 | -2.8 | -0.1 | 0.7 | 0.6 | 1.7 | 0.8 | 2.1 | 1.8 | 12.2 |
| 2011 | -1 | -0.8 | -0.5 | 0.9 | -0.9 | -1 | 2.2 | -1 | -1.2 | -2.6 | -0.3 | -1 | -7 |
| 2012 | -0.7 | 1 | 0.1 | 0.7 | -0.5 | -3.7 | -1.7 | 0.3 | -1.3 | 1.9 | -1.5 | 0.1 | -5.2 |
| 2013 | 0.8 | -0.5 | -0.1 | -0.6 | 0.6 | -0.5 | 0.4 | -1.2 | 0.1 | -0.4 | 0.4 | 0.5 | -0.5 |
| 2014 | -2.4 | -0.5 | 0.5 | 0.4 | -0.1 | 1.8 | -1.2 | 0.9 | -1.3 | 0.5 | -0.5 | -2 | -3.9 |
| 2015 | 0 | 0 | 0.5 | 0.2 | -0.7 | -1.4 | -0.6 | -1.8 | 0.9 | -0.4 | 0.4 | 5.3 | 2.4 |
| 2016 | -1.4 | 0.3 | -1.5 | 0.9 | 1.7 | 0.4 | -2.4 | -0.2 | 1.1 | -0.9 | 0.9 | 0.4 | -0.8 |
| 2017 | 1.9 | 0.6 | 1 | 0.4 | 0.8 | 0 | 0.4 | 0.8 | 0.9 | 1.4 | 4.2 | 0.3 | 13.4 |
| 2018 | 0.4 | -1.7 | 0.6 | -0.4 | -0.9 | -0.7 | -0.2 | -0.3 | 1.3 | 1.5 | 0.6 | 0.6 | 0.8 |
| 2019 | 2.1 | -0.2 | 1.5 | -0.6 | -0.9 | -0.1 | -3.9 | 0.9 | -0.4 | 1.9 | 0.4 | 2.7 | 3.4 |
| 2020 | -1.7 | 3.8 | 3.1 | -2.1 | 7.6 | -0.8 | 1.3 | -1.3 | 0 | -1.5 | 2.2 | 0.4 | 11 |
| 2021 | 0.9 | 3.1 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-08-27 398 SPY 147. -0.00930 0.016 0.0127 -0.0347 0.133 0.323 0.553 GLD 66.0 -0.002 0.0132
2 2007-08-28 389 SPY 144. -0.022 -0.0083 -0.0248 -0.0636 0.107 0.294 0.509 GLD 65.6 -0.0059 0.008
3 2007-08-29 382 SPY 147. 0.0196 -0.0008 0.0056 -0.0442 0.124 0.315 0.556 GLD 66.1 0.0073 0.0102
4 2007-08-30 385 SPY 146. -0.0027 -0.0025 -0.0019 -0.0515 0.119 0.322 0.587 GLD 65.8 -0.0041 0.0075
5 2007-08-31 388 SPY 148. 0.0099 -0.005 -0.0001 -0.0422 0.130 0.328 0.602 GLD 66.5 0.0109 0.0062
6 2007-09-04 386. SPY 149. 0.0101 0.0145 0.0367 -0.0287 0.141 0.339 0.624 GLD 67.4 0.0138 0.0221
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
